Stellungnahme ZKA zum Konsultationspapier "Sound practices for backtesting counterparty credit risk models" (BCBS 171)

31. Mai 2010

In principle we welcome the endeavour to create a uniform framework for the validation of internal model methods (IMM), whilst not wishing to restrict the variety of models. We therefore endorse the intention expressed by the Basel Committee in point 1 not to prescribe any specific methods or test procedures. It is also necessary to bear in mind, for the backtesting requirements that the models are subject to a continuous development process.

In fact, however, the following guidance on backtesting gives rise to the surmise that the consultative document implicitly assumes certain types of model for internal model methods which do not depict the entire conceivable range of models. This is in conflict with the prudential principle – subject to the approval of the national supervisor – to allow institutions with an internal model method the necessary freedom of choice of method to depict counterparty risks independently.

Overall, the guidance gives very little direction on which focal points to adopt for the validation. Rather, the consultative document gives rise to the impression that model banks in future are to carry out a comprehensive myriad of tests. There is consequently a risk of losing the eye for the essential. In addition, the IMM operating costs will be increased significantly, which represents an enormous burden especially for smaller institutions. We therefore suggest confining the guidance to a validation approach based on out-of-sample backtesting. […]

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